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140b0cc3607fc5ab9989aadeae74af14c3f50fad
ftdt-quant-lab/backtests/results/hurst_vpin_BTC_1d_200_20260807-093046.json
T
ramseshk 31c1fe7fbe chore: sweep all strategies on HFT/intraday/intraweek intervals — 639 clean results 
Archived all old historical/ files (zero trade prices, broken).
Removed 67 zero-trade sweep files.

Fresh sweep: 360/360 succeeded across 9 strategies
  HFT (1m,5m), intraday (15m,1h,4h), intraweek (1d)
  6 bar limits (100-5000), BTC + ETH for pairs

Key results by timeframe:

HFT (1m/5m, 235 files):
  hurst_vpin 1m 200b     S=82.05  1t   +0.60%
  hurst_vpin 1m 100b     S=62.06  1t   +0.22%
  momentum    1m 100b     S=31.96  2t   +0.16%
  NOTE: 1m results are noisy, single-trade Sharpe unreliable

INTRADAY (15m/1h/4h, 303 files):
  hurst_vpin 15m 100b     S=19.38  1t   +0.58%
  grid_mm    1h  100b     S= 8.56  4t   +2.50%
  obi        15m 100b     S= 6.95  2t   +0.29%
  momentum   4h  100b     S= 2.91  3t   +2.70%

INTRAWEEK (1d, 101 files):
  hurst_vpin 1d  100b     S= 1.17  1t   +5.03%
  grid_mm    1d  5000b    S= 0.78  1t   +446%*
  momentum   1d  5000b    S= 0.51  66t  +56%
  mean_rev   1d  5000b    S= 0.69  111t +37%

* grid_mm 1d returns suspiciously high — likely signal artifact

VBT Dashboard: 639 results, paginated, searchable
2026-08-07 17:34:55 +08:00

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{"strategy": "hurst_vpin", "interval": "1d", "n_bars": 201, "start_equity": 10000.0, "end_equity": 10628.67, "total_return_pct": 6.29, "pnl": 628.67, "sharpe": 0.721, "sortino": 1.097, "max_drawdown_pct": 11.6, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-07 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.164071, "entry_px": 60921.86, "exit_px": 64781.0, "pnl_gross": 628.6743, "pnl_net": 619.3934, "fee": 9.280887, "fee_rate_pct": 0.045, "return_pct": 6.29, "duration": ""}], "params": {"hurst_entry": 0.55, "hurst_exit": 0.45, "vpin_threshold": 0.25, "vpin_window": 50, "hurst_window": 64, "type": "Directional"}, "fee_info": {"entry_fee": 0.045, "exit_fee": 0.045, "total_fee": 0.09, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.045, "vip_tier": 0, "staking_tier": "none", "fee_model": "taker", "tier_name": "Tier 0 (<$5M)", "staking_name": "No Stake"}, "equity_curve": [{"t": "2026-01-19T00:00:00+00:00", "v": 10000.0}, 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"2026-08-06T00:00:00+00:00", "v": 10548.61}, {"t": "2026-08-07T00:00:00+00:00", "v": 10628.67}], "total_trades": 1, "generated_at": "2026-08-07T09:30:46.508947+00:00", "asset": "BTC"}
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